VaR Model And Application In Financial Risks Measurement

VaR is a kind of index that can weigh the market risk effectively , it can make every financial instrument and assets up and the risk amount of total market of financial institution turn a figure, this make institutional investor with market supervisor compare them with other indexes conveniently. The academia of our country has paid the abundant attention in utilizing VaR method, but lay particular emphasis on more principle and method introduction of VaR, as for application in the actual measurement of financial risks, little study has been made. Measurement question of assets made up of a lot of financial products, domestic academia studied very few especially, and great advantage of VaR lies in that it can measure risk value that assets make up too most. This text tries in two sides separately: measurement in risk value of asset combination and risk measurement of commercial bank in our country. In chapter two, 1196 sample data are from stock markets of Shanghai and Shenzhen separately, I adopt the variance –covariance method and historical simulation method of VaR to analyse, and calculate the VaR of single securities products and assets combination separately. Through comparing and analysing , I draw the conclusion that VaR value of Shenzhen stock market is greater than VaR of stock markets of Shanghai, that is to say, the risk of Shenzhen stock market should be greater than the risk of stock markets of Shanghai; The investment risk of financial product combination should be smaller than the investment risk of the individual financial product. In chapter three, through the empirical research on credit risks VaR of commercial bank in our country, we draw the conclusion that it is not according with reality to adopt normal distribution to depict every credit grade loan value in our country, result of calculation according to actual distribution to be carried on capital distribution should be a bit more accurate actually. First of all, this text has introduced the VaR model, computing technologies and comparison of different computing technologies in detail theoretically. Risk value VaR refers to: Given time definitely and given confidence level definitely, the loss of some portfolio is made possible estimation of probability of level. Under the hypothesis of normal distribution, the general formula of VaR is: W 0 is initial value of the portfolio, yield ratio in held issue is R, mathematics expect and standard deviation of R are μand σrespectively. Approximately ,there are three kinds of computing technologies of VaR: The first kind is historical simulation method -Utilizing the historical states of market factors to infer the future scenes of market factors directly; The second kind is Monte Carlo simulation method-utilizing Monte Carlo to imitate the future scenes of the market factors; The third kind is variance-covariance method -if market factors'changes obey plural normal distribution, we can describe the future changes of the market factors with the variance and correlation coefficient. Different computing technologies have different characteristics, so in the course of practical application, we should make the concrete analysis according to concrete conditions and choose the most suitable method. In chapter two , we use the index closing price of each bargain day from Shenzhen Stock Exchange and Shanghai Stock Exchange during 1999-2003, draw 1196 sample data from stock markets of Shanghai and Shenzhen separately. (the data stem from " star of the securities "); Adopting the variance -covariance method and historical simulation method to analyse ; regarding VaRs of each bargain day as investigating objects, and adopting logarithm earning ratio of single issues with stock markets of Shanghai and Shenzhen : rt = ln ???ptpt?1??? = ln( p t )? ln(pt?1),and p t is the index closing price of the stock market; Calculate VaR of which held in one day under 95% confidence level; Calculate VaR of single security products and assets combination using two kinds of methods separately, and examine the dependability of VaR method. Through comparing and analyzing , we conclude : VaR value of Shenzhen stock market is greater than VaR of stock markets of Shanghai, that is to say ,the risk of Shenzhen stock market should be greater than the risk of stock market of Shanghai, this conclusion keeps the same with the older generations' result of study; The investment risk of financial product combination should be smaller than the investment risk of the individual financial product, this conclusion accords with the basic thought...